Over at the Financial Times alphaville the writers wonder if hedge funds are even, you know, hedging.
Because a large part of hedging requires using standard measures of risk:
Half of all hedge funds don’t measure the amount of leverage they have embedded in assets such as forwards and derivatives, the report said. Further, 54 per cent of all hedge funds either don’t track liquidity or, of those that do, neglect to do stress-testing and correlation-testing.
Be ready for more Amaranths.
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